Well, it necessitates using a block, and the block form of grep is a little slower than the expression form.

grep { BLOCK } @list;   # slow
grep EXPRESSION, @list; # fast
[download]

But it's not just that. Even if you make them both use the block form of grep, state comes out behind my. I guess they've just put a lot of work into optimizing how fast normal lexical variables work, and less work into state variables.